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Answer:
Sometimes they do, but often they do not, because depression is not an easy disease to self-diagnose, and many people who suffer from depression turn to other explanations for their depressive mood and low motivation before realizing what is really going on with them, or before going to a professional for diagnosis.
And some people do know but hide it because depression, as all mental disorders, still carries a social stigma that victimize some patients even further.